Object -> Edit / Change of position
Thank you for your help, I did that and although it all stays in the
  same position which was what I was looking for, they stay on the
  position it was in "Edit mode". I would like to have my character
  aligned with all the axis. How can I do that?


You have to align it in Edit Mode. 

Edit mode is like if it was more important than the other modes, it goes something like Edit Mode > Object Mode > Pose Mode. This is like this because in edit mode you have the information of the mesh, in object mode the information of where is the mesh (and it's rotation) and in pose mode you have the information about how is the mesh deformed.

So use blender with this hierarchy in mind and you will ready to go.